In a large frying pan, heat 1/4 cup olive oil over medium heat. Add onion and cook well until it starts to brown; add chili pepper and garlic; continue to cook over medium heat until softened. Stir in paprikas, and cook for a few seconds. Do not burn. Add tomato and saffron, and cook a couple minutes longer. Remove from pan and puree to a paste.
In same pan, heat remaining olive oil and fry rice well until it starts to turn color. Add onion paste, bay leaves and thyme; fry for about 5 minutes.
Stir in water, salt and pepper. Bring to a simmer, then turn heat to low. Cook for about 25 minutes, without stirring, adding a splash of water if dry and letting a crust form on the bottom without burning.
When rice is just about cooked and moisture has been absorbed (it shouldn't be soggy), add mussels, pushing them well down into rice. Cover and continue to cook until the mussels open. Once all the mussels have opened, remove from heat and let rice sit in a warm place for 5-10 minutes before serving with lemon.
Tip: Do not over salt mussels as they release a salty brine while cooking.
Approximate Nutrient Analysis per serving (not including salt to taste):
540 calories, 24 g fat, 3.5 g saturated fat, 40 mg cholesterol, 400 mg sodium, 59 g carbohydrate, 3 g fiber, 5 g sugar, 22 g protein